Enhancing Stochastic Kriging Metamodels with Gradient Estimators

DOI10.1287/opre.1120.1143zbMath1329.62356OpenAlexW2100851059MaRDI QIDQ5301144

Barry L. Nelson, Bruce E. Ankenman, Xi Chen

Publication date: 2 July 2013

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/65032/1/10.pdf

zbMATH Keywords

stochastic simulationmetamodelinggradient estimation

Mathematics Subject Classification ID

Stochastic approximation (62L20) Response surface designs (62K20)

Related Items (15)

Regression Models Augmented with Direct Stochastic Gradient Estimators ⋮ Optimal computing budget allocation for regression with gradient information ⋮ KrigHedge: Gaussian Process Surrogates for Delta Hedging ⋮ Simulation budget allocation for simultaneously selecting the best and worst subsets ⋮ Sequential design strategies for mean response surface metamodeling via stochastic kriging with adaptive exploration and exploitation ⋮ A critical assessment of Kriging model variants for high-fidelity uncertainty quantification in dynamics of composite shells ⋮ A new options pricing method: semi-stochastic kernel regression method with constraints ⋮ Efficient VaR and CVaR Measurement via Stochastic Kriging ⋮ Generalized Integrated Brownian Fields for Simulation Metamodeling ⋮ On meshfree numerical differentiation ⋮ Faster Kriging: Facing High-Dimensional Simulators ⋮ Some Monotonicity Results for Stochastic Kriging Metamodels in Sequential Settings ⋮ Bayesian Optimization via Simulation with Pairwise Sampling and Correlated Prior Beliefs ⋮ Gradient Extrapolated Stochastic Kriging ⋮ Multivariate versus univariate Kriging metamodels for multi-response simulation models

This page was built for publication: Enhancing Stochastic Kriging Metamodels with Gradient Estimators